【本期主题】Rainy Day Liquidity
Insurance companies collectively hold nearly one-third of corporate bonds, making it critical to understand their roles in the corporate bond market: liquidity providers or consumers? In this study, we coin a new term “rainy day liquidity providers” for the potential role of insurance companies – with cash flow from core business activities, insurers may provide liquidity to the sell side in times of market stress. Our empirical findings present strong support to rainy day liquidity provision hypothesis. First, based on widely used bond liquidity measures, we find that, on average, insurer corporate bond purchases improve bond liquidity while it is not the case for insurer bond sales. Second, breaking the sample down into bonds of different rating groups, maturity groups, crisis and non-crisis periods, we show that liquidity provision by insurers is much stronger in stressful conditions. Finally, we present evidence that rainy day liquidity provision effect goes beyond bonds purchased by insurers – the liquidity of bonds with similar characteristics to the purchased (sold) bonds also increases during stressful periods.
【报告人】Tong Yu 教授， University of Cincinnati
Tong Yu is a Professor of Finance in the Lindner School of Business at the University of Cincinnati. His research and teaching have been focused on asset pricing, financial risk management, insurance, and behavior of institutional investors. He published academic journals such as the Journal of Financial Economics, Journal of Accounting Research, Journal of Financial Intermediation, Journal of Banking and Finance, and Journal of Risk and Insurance, and practitioner journals including the Financial Analyst Journal and Journal of Insurance Regulations. Dr. Yu received the Early Career Scholarly Achievement Award from the American Risk and Insurance Association in 2011. Before joining UC, he was a professor of finance at the University of Rhode Island.